CME Group Hits Record SOFR Futures Volume in October

SOFR futures averaged more than 212,000 contracts per day on CME Group.

CME Group, which operates one of the largest derivatives exchanges in the United States, stated that it hit a record of 396,421 SOFR futures contracts traded on October 18. According to the press release, it surpassed the previous milestone of 341,922 contracts that was set on June 18, 2021.

“As the market continues to manage their interest rate risk ahead of key transition deadlines, clients are increasingly adopting SOFR futures. Average daily volumes in SOFR futures have grown 171 percent versus 2020, and we are pleased to see new milestones this week with records in both volume traded and open interest,” Agha Mirza, CME Group’s Global Head of Rates and OTC Products, commented.

As for open interest in SOFR futures, it reached 1,166,016 contracts on October 19, 2021, which is up 170 percent and growing 16 percent in one month after exceeding one million contracts of open interest on September 15, 2021. Moreover, SOFR futures averaged more than 212,000 contracts per day compared to the 137,000 contracts on average per day hit in September.

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CME Group September Metrics

In September, CME Group reported a 3 percent decline in average daily volume of forex derivatives, while overall ADV increased by 11 percent. As a result, FX trading demand rose 56 percent on a monthly basis. Further, we saw the highest ADV since the beginning of this year. As of today, the average daily volume of FX trades for the month totaled 975,000 contracts compared to 1 million contracts in the same month last year. Along with FX, demand for equities, agriculture and metal derivatives took a dive in the month and over the quarter. However, the overall ADV was dragged higher by a surge in the interest rate and energy products.

CME offers forex trading services on its CME Globex platform, and most of the trading happens on the dedicated electronic platform.

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